Diffusion Approximation for Average Investor's Income with Loss Risk
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| 024 | 7 | 0 | |a 10.1007/s10958-015-2232-9 |2 doi |
| 035 | |a (NATIONALLICENCE)springer-10.1007/s10958-015-2232-9 | ||
| 100 | 1 | |a Nagaev |D A. |u Nikolay Kopernik University, Torun, Poland |4 aut | |
| 245 | 1 | 0 | |a Diffusion Approximation for Average Investor's Income with Loss Risk |h [Elektronische Daten] |c [A. Nagaev] |
| 520 | 3 | |a In the present paper as a risk index the mean value of the random contract outcome for the investor is considered. Diffusion approximation for average investor's income with loss risk is used to study the situation, when the game is risky for both participants, seller and buyer of an option. The main assumption is independence and identical distribution of relative price jumps. However the method of proof allows analysis of much more general schemes. | |
| 540 | |a Springer Science+Business Media New York, 2015 | ||
| 773 | 0 | |t Journal of Mathematical Sciences |d Springer US; http://www.springer-ny.com |g 205/1(2015-02-01), 85-94 |x 1072-3374 |q 205:1<85 |1 2015 |2 205 |o 10958 | |
| 856 | 4 | 0 | |u https://doi.org/10.1007/s10958-015-2232-9 |q text/html |z Onlinezugriff via DOI |
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| 900 | 7 | |a Metadata rights reserved |b Springer special CC-BY-NC licence |2 nationallicence | |
| 908 | |D 1 |a research-article |2 jats | ||
| 949 | |B NATIONALLICENCE |F NATIONALLICENCE |b NL-springer | ||
| 950 | |B NATIONALLICENCE |P 856 |E 40 |u https://doi.org/10.1007/s10958-015-2232-9 |q text/html |z Onlinezugriff via DOI | ||
| 950 | |B NATIONALLICENCE |P 100 |E 1- |a Nagaev |D A. |u Nikolay Kopernik University, Torun, Poland |4 aut | ||
| 950 | |B NATIONALLICENCE |P 773 |E 0- |t Journal of Mathematical Sciences |d Springer US; http://www.springer-ny.com |g 205/1(2015-02-01), 85-94 |x 1072-3374 |q 205:1<85 |1 2015 |2 205 |o 10958 | ||